Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0564
Annualized Std Dev 0.2678
Annualized Sharpe (Rf=0%) 0.2107

Row

Daily Return Statistics

Close
Observations 3521.0000
NAs 1.0000
Minimum -0.1072
Quartile 1 -0.0074
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0082
Maximum 0.1566
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0169
Skewness 0.2155
Kurtosis 8.3259

Downside Risk

Close
Semi Deviation 0.0119
Gain Deviation 0.0124
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.6762
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0401
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0267
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2017-10-13 -0.6762 2506 267 2239
2018-01-29 2020-03-23 2020-10-12 -0.3391 682 541 141
2007-07-24 2007-08-16 2007-09-04 -0.1646 30 18 12
2021-02-18 2021-03-08 NA -0.1054 23 13 NA
2007-10-18 2007-10-19 2007-10-26 -0.0562 7 2 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA -0.3 -1.5 1.5 0.1 -1.2 3.3 2.7 -5.5 2.3 0.7 1.8
2008 2.5 -1.4 3 1.7 0.8 -1.2 0.5 -1.1 1.6 1.3 -6.3 1 2
2009 -0.7 -1.9 2.3 0.3 -0.9 2 0.4 -1.6 -2.4 -4.2 2.4 0.8 -3.7
2010 2.2 1.7 2.3 -1.4 -1.8 0.3 0.7 2.9 1.4 1.1 2.8 0.4 13.2
2011 1.5 -0.2 1.3 0.6 -1.1 1.3 0.4 -0.8 -3.8 -1.8 0 -0.4 -3
2012 1.8 0.5 1.1 0.6 -2.7 4.1 0.2 0.7 1 2.2 0.5 1.5 12
2013 0.8 -0.3 -1 -0.9 -1.9 0.4 1.8 0.9 2.1 0 0.9 0.5 3.2
2014 -0.3 -0.4 1 0.5 -0.6 1 0.7 0 -1.5 1.3 -1.5 0.1 0.2
2015 -2 0.2 0.9 0.7 0.2 0 0.2 -3.5 0.3 0.2 1.1 0.1 -1.6
2016 -0.8 2.9 0 -0.7 -0.3 0.6 0.3 0.5 0.6 -0.4 -1 -0.3 1.5
2017 0.3 1.2 -0.5 0.7 1 0.5 0.5 0.6 1 0.5 -0.8 0.6 5.6
2018 -1.2 0.2 1.4 -0.1 0.9 1.6 -0.6 0.3 -0.1 3.4 0.3 -0.6 5.4
2019 -0.6 0.5 1.1 -0.1 0.9 1.6 -2.1 0.5 -0.7 1.2 -1.5 0.3 0.7
2020 -2.1 -1.2 -4.3 -3.1 1.9 0.9 -0.3 1.5 1 -1.2 1.8 0 -5.2
2021 2.7 2.5 0.9 NA NA NA NA NA NA NA NA NA 6.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-23  61.9 SPY    143.  0.0015    0.0351  -0.017    0.0082   0.0998    0.308    0.244 GLD    65.2 -0.00930   0.0082
2 2007-03-26  62.3 SPY    143. -0.0013    0.0214  -0.0145   0.0075   0.101     0.308    0.245 GLD    65.8  0.0106    0.017 
3 2007-03-27  61.8 SPY    143. -0.00240   0.0134  -0.0159   0.0088   0.0972    0.304    0.258 GLD    65.7 -0.0021    0.0066
4 2007-03-28  60.7 SPY    142. -0.0073   -0.0103   0.0166   0.0076   0.0908    0.278    0.241 GLD    66.0  0.0053    0.0035
5 2007-03-29  61.6 SPY    142.  0.0011   -0.0085   0.0074   0.0028   0.0987    0.279    0.239 GLD    65.6 -0.0061   -0.0017
6 2007-03-30  61.3 SPY    142   0.0002   -0.0097   0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  0.0014    0.0091
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart